You cannot edit your posts in this forum. You cannot delete your posts in this forum. Capital preservation and steady performance are important considerations in investing. You cannot reply to topics in this forum. You cannot post new topics in this forum. And the third period is the number of bars over which this drawdown is being averaged. Its the peak-to-trough decline during a specific period of an investment and is measured in percentage. Drawdowns help determine an investment's financial risk. it appears that Gardnertoo understands the issue. The term local refers to the time horizon over which the investment is analyzed or transacted. I am also interested in finding out how to code Max Drawdown' in vba. The second value is the maximum number of draw down bars being calculated. Maximum drawdown (MDD) is the accumulated loss of buying an investment at its highest local maximum price and selling it at its lowest local minimum price. The first period is the period of the high. You could change any of the periods, but the sum of the periods should probably be kept under 500 if you want to have enough data for the formula to calculate a value. 2.1Maximum Drawdown The maximum drawdown within a path is dened as the maximum drop from peak to trough within that path. Return Calculation: Calculate the daily returns. When calculating max drawdown in Excel, the following formulas and functions are commonly used: Price Data: Utilize the price data of the investment over a specified period, typically in a column format. I am not sure it will really do what you want, but maybe something similar to the following? Introduce the specific Excel formulas and functions used for max drawdown calculation. Is there a way to calculate something like the "average bars spent in drawdown over x bars"? In this case, I call any new high the price to beat. I've looked over the links but none does what I'm looking for. Learn how to use the forums: post a new topic, reply, Search existing topics
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